48 Resulting Order Book Order Broker Volume Side Market Instruction on the Firm-up order 1 A 40,000 Buy 01 2 B 50,000 Buy 01 3 C 75,000 Sell 01 Pro-rata allocations • Orders 1 and 2 sends a Firmed up response for full Buy volume, market instruction = “01” and cancel residual volume • Order 3 sends a Firmed up response for full sell volume, market instruction = “01” Resulting Order Book Order Broker Volume Side Resulting trades 1 A 40,000 Buy Order 1 is partially filled for 33,300 shares. 2 B 50,000 Buy Order 2 is partially filled for 41,700 shares. 3 C 75,000 Sell Order 3 is fully filled for 75,000 shares Orders 1 and 2 residual untraded volumes are cancelled back to Brokers because their market instruction = “01”. • Calculation for pro-rata allocation (being [Individual orders/total buy volume] x total sell volume) • Total Buy Volume = 90,000 • Total Sell Volume= 75,000 • Order 1 [40,000 shares / 90,000] x 75,000 = 33,300 shares. • Order 2 [50,000 shares / 90,000] x 75,000= 41,700 shares. • Order 3 is fully filled for 75,000 shares Partial fills are rounded to the nearest board lot
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